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We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error...
Persistent link: https://www.econbiz.de/10012474508
. In addition to standard Wald tests, we formulate Lagrange Multiplier and Distance Metric tests which require estimation … under the non-linear constraints of the null hypotheses. Estimation under the null is achieved by iterating on approximate …
Persistent link: https://www.econbiz.de/10012471161
The 1997-99 financial crises in the emerging markets have brought to the foreground the concern about offshore investment funds and their possible role in exacerbating volatility in the markets they invest in. Offshore investment funds are alleged to engage in trading behaviors that are...
Persistent link: https://www.econbiz.de/10012471661
, euro area and UK data points to a substantial deviation from that invariance prediction: expectations of interest rate …
Persistent link: https://www.econbiz.de/10012479321
We use the panel data of the German Socio-Economic Panel (SOEP) and of the Ukrainian Longitudinal Monitoring Survey (ULMS) to investigate whether risk attitudes have primary (exogenous) determinants that are valid in different stages of economic development and in a different structural context,...
Persistent link: https://www.econbiz.de/10011337020
This paper investigates the potential reasons for the surprisingly different labor market performance of the United States, Canada, Germany, and several other OECD countries during and after the Great Recession of 2008-09. Unemployment rates did not change substantially in Germany, increased and...
Persistent link: https://www.econbiz.de/10012457972
We examine the implications for borrowing costs of including collective-action clauses in loan contracts. For a sample of some 2,000 international bonds, we compare the spreads on bonds subject to UK governing law, which typically include collective-action clauses, with spreads on bonds subject...
Persistent link: https://www.econbiz.de/10012471318
In this paper I analyze the London Monetary and Economic Conference of 1933, an almost forgotten episode in U.S. monetary history. I study how the Conference shaped dollar policy during the second half of 1933 and early 1934. I use daily data to investigate the way in which the Conference and...
Persistent link: https://www.econbiz.de/10012455477
This paper evaluates the possible consequences of the forthcoming European and Monetary Union on wage behaviour. It will be shown that EMU does not influence wage policy directly, but rather indirectly through its implications on other areas of economic policy, predominantly on monetary policy....
Persistent link: https://www.econbiz.de/10011294707
The purpose of this paper is to evaluate whether labour mobility is likely to act as a sufficient adjustment mechanism in the face of asymmetric shocks in Euroland. To this end, we estimate the elasticity of migration with respect to changes in unemployment and income on the basis of regional...
Persistent link: https://www.econbiz.de/10011294709